2 papers
q-fin.MF2020
Hierarchical PCA and Modeling Asset Correlations
Marco Avellaneda, Juan Andrés Serur
Modeling cross-sectional correlations between thousands of stocks, across countries and industries, can be challenging. In this paper, we demonstrate the advantages of using Hierar…
q-fin.GN2019
151 Estrategias de Trading (151 Trading Strategies)
Zura Kakushadze, Juan Andrés Serur
This book, which is in Spanish, provides detailed descriptions, including over 550 mathematical formulas, for over 150 trading strategies across a host of asset classes (and tradin…